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Bayesian inference for the multivariate skew-normal model: A population Monte Carlo approach

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  • Liseo, Brunero
  • Parisi, Antonio

Abstract

Frequentist and likelihood methods of inference based on the multivariate skew-normal model encounter several technical difficulties with this model. In spite of the popularity of this class of densities, there are no broadly satisfactory solutions for estimation and testing problems. A general population Monte Carlo algorithm is proposed which: (1) exploits the latent structure stochastic representation of skew-normal random variables to provide a full Bayesian analysis of the model; and (2) accounts for the presence of constraints in the parameter space. The proposed approach can be defined as weakly informative, since the prior distribution approximates the actual reference prior for the shape parameter vector. Results are compared with the existing classical solutions and the practical implementation of the algorithm is illustrated via a simulation study and a real data example. A generalization to the matrix variate regression model with skew-normal error is also presented.

Suggested Citation

  • Liseo, Brunero & Parisi, Antonio, 2013. "Bayesian inference for the multivariate skew-normal model: A population Monte Carlo approach," Computational Statistics & Data Analysis, Elsevier, vol. 63(C), pages 125-138.
    • Handle: RePEc:eee:csdana:v:63:y:2013:i:c:p:125-138
    DOI: 10.1016/j.csda.2013.02.007
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    1. Antonio Parisi & B. Liseo, 2018. "Objective Bayesian analysis for the multivariate skew-t model," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 27(2), pages 277-295, June.
    2. Gaygysyz Guljanov & Willi Mutschler & Mark Trede, 2022. "Pruned Skewed Kalman Filter and Smoother: With Application to the Yield Curve," CQE Working Papers 10122, Center for Quantitative Economics (CQE), University of Muenster.
    3. Hok Shing Kwong & Saralees Nadarajah, 2022. "A New Robust Class of Skew Elliptical Distributions," Methodology and Computing in Applied Probability, Springer, vol. 24(3), pages 1669-1691, September.
    4. Lin, Edward M.H. & Sun, Edward W. & Yu, Min-Teh, 2020. "Behavioral data-driven analysis with Bayesian method for risk management of financial services," International Journal of Production Economics, Elsevier, vol. 228(C).

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